We investigate whether time-series variation in consumer confidence affects the long-run association between prices and accounting based measures of fundamental value (hereafter, fundamentals). We estimate the components of consumer confidence related to expected growth and investor sentiment. We find a significant role for both expected growth and investor sentiment on the time-series associat...

a r t i c l e i n f o The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment invest...

The purpose of this article is to investigate whether the securities regulation put forward by the EU contributes to an efficient stock market. An event study of investor meetings/presentations held by listed Danish firms is conducted. The article finds significantly positive abnormal returns a few days around investor meetings. Share turnover reaches maximum one day after investor meetings. Th...

This paper studies the strategic interaction between a foreign direct investor and a host country. We analyze how the investor can use his control rights to protect his investment if he faces the risk of “creeping expropriation” once his investment is sunk. It is shown that this hold-up problem may cause underinvestment if the bargaining position of the investor is too weak and overinvestment i...

We consider: i) a “dynamic” investor who rebalances over time, treats returns as i.i.d., and accounts for learning; ii) a “static” buy-and-hold investor who is aware of predictability and estimation risk. Both investors are internationally-diversified and combine information on longand short-history markets using cross-inference. For a dynamic investor, cross-inference generates separate hedgin...

Optimal asset allocation well-fitting the investors goals is a pressing challenge in risk management. In spite of Sharpe ratio, Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti ratios are new parameter-dependent performance ratios able to suit the investor risk profile. Five investor prototypes are studied and fifteen tailormade optimal asset paths are traced over a rolling twelve m...

We study the effect of private investor contractual governance on the likelihood of an entrepreneurial firm going public versus being acquired. On one hand, we may expect that the use of strong investor control contracts improves entrepreneurial firm governance and increases the probability of going public. On the other hand, we may expect that founding entrepreneurs generally prefer to maintai...

In this paper, I examine the relation between Integrated Reporting (IR) and the composition of a firm’s investor base. I hypothesize and find that firms that practice IR have a more long-term oriented investor base with more dedicated and fewer transient investors. This result is more pronounced for firms with high growth opportunities, not controlled by a family, operating in ‘sin’ industries,...

This paper examines the differences in accrual-based and real earnings management across countries from the perspective of investor protection. Following prior research (Leuz et al., 2003), we hypothesize that accrual-based earnings management is more constrained by strict discipline in countries with stronger investor protection. For real earnings management in countries with stronger investor...